L Options History — September 2021

In September 2021, L traded between $51.85 and $55.68. ATM implied volatility averaged 22.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.8% (HV 20d: 16.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2021-09-17: Highest Volume — 172 contracts
  • 2021-09-22: Largest IV spike — 67.1% change
  • 2021-09-22: Highest IV Rank — 72.1%
  • 2021-09-22: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.86$51.85$55.68$55.68$54.18
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV22.9%14.9%39.7%17.0%22.1%
Expected Move6.6%4.8%11.4%4.9%6.3%
HV 20d16.2%12.7%18.7%14.3%18.7%
HV 60d21.9%21.3%22.9%22.9%21.4%
IV Rank23.3%0.0%72.1%5.2%20.9%
IV Percentile27.6%0.0%96.8%0.4%23.0%
Term Structure0.7%-30.5%17.2%3.3%0.2%
VWIV22.0%13.9%27.6%18.7%21.1%
Skew 25d4.8%-7.8%24.3%3.4%2.8%
Skew 10d16.1%-7.8%98.4%10.0%4.3%
Call IV 25d21.2%13.5%40.0%16.3%17.8%
Put IV 25d26.0%16.6%56.6%19.7%20.6%
Bid-Ask Spread %102.5891.48118.83118.83109.45
Gamma HHI0.320.270.360.350.28
Net GEX1.2K-48.8K58.1K39.7K40.4K
Net DEX310.0K-1.1M1.7M-1.1M-398.2K
Net VEX-13.0K-16.1K-11.2K-15.1K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.002.580.170.11
Total Volume56.4761172710
Total OI2,947.9051,6734,0353,7771,789

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$55.68$55.0017.0%4.9%14.3%5.2%18.7%3.4%3.3%39.7K-1.1M-15.1K0.17118.83612,3441,433
2021-09-02$55.39$55.0021.4%6.9%13.8%18.2%24.6%5.1%2.3%58.1K-965.4K-16.1K0.92100.1013122,3441,439
2021-09-03$54.86$55.0014.9%6.2%13.3%0.0%15.9%3.2%5.0%-14.0K-95.7K-15.1K0.0097.03012,3391,440
2021-09-07$55.00$55.0023.1%5.0%13.3%23.8%18.4%24.3%3.4%-31.2K-91.7K-12.6K0.0095.393902,3351,452
2021-09-08$55.17$55.0023.1%6.6%13.0%23.9%24.8%15.5%8.7%-27.8K-465.3K-14.5K0.93100.7614132,3351,438
2021-09-09$54.83$55.0020.6%5.9%12.7%16.7%13.9%1.3%2.0%-43.2K-53.9K-13.5K0.25109.20822,3531,438
2021-09-10$53.60$55.0020.8%6.0%14.8%17.3%20.3%11.7%5.7%-42.3K1.5M-12.2K0.2897.06117332,3571,450
2021-09-13$53.94$55.0028.5%8.2%15.0%39.6%27.5%10.0%0.1%-48.8K1.2M-11.3K0.0993.06113102,3611,452
2021-09-14$53.16$55.0018.3%5.2%15.7%9.9%18.8%8.6%0.9%-18.3K1.1M-11.7K0.53107.351582,4641,438
2021-09-15$54.03$55.0021.6%6.2%16.9%19.3%24.6%3.8%17.2%-30.8K1.3M-12.6K0.21111.27107232,5081,442
2021-09-16$53.74$55.0022.7%6.5%16.9%22.7%22.0%3.7%-1.4%-29.1K1.2M-11.9K0.0091.481402,5211,441
2021-09-17$53.12$55.0016.8%4.8%17.2%5.4%19.8%4.1%-1.5%16.6K1.7M-12.4K2.5895.72481242,6021,433
2021-09-20$51.99$55.0024.9%7.1%18.2%29.0%27.2%-2.9%-1.2%-3.4K706.3K-11.2K0.52104.742915988685
2021-09-21$51.85$55.0023.7%6.8%17.6%25.7%23.7%3.8%-2.0%5.0K682.9K-11.9K0.3294.80105341,015696
2021-09-22$52.59$55.0039.7%11.4%18.6%72.1%0.0%16.6%-30.5%11.6K331.4K-12.3K0.23114.2770161,021703
2021-09-23$52.97$55.0021.6%6.2%17.9%19.3%23.8%-1.6%8.1%10.3K359.8K-11.9K0.00103.189601,023734
2021-09-24$53.12$55.0019.9%5.7%17.6%14.5%19.6%3.5%2.5%19.1K296.1K-12.2K0.0095.46101,033720
2021-09-27$53.98$55.0027.3%7.8%17.6%36.0%26.8%-1.7%-3.4%33.6K-39.2K-13.4K0.00105.181401,055720
2021-09-28$53.53$55.0023.5%6.7%17.6%24.9%21.1%-7.8%-1.7%38.7K-325.2K-13.8K0.39102.7531121,056720
2021-09-29$54.34$55.0030.1%8.6%18.7%44.2%27.6%-6.2%-2.3%41.1K-245.1K-12.8K0.14107.162841,069720
2021-09-30$54.18$55.0022.1%6.3%18.7%20.9%21.1%2.8%0.2%40.4K-398.2K-13.8K0.11109.45911,057732